人民币汇率与上证板块指数关系的实证研究

本文在分析汇率与股价传导机制的基础上,对人民币汇率和上海证券交易市场的五个板块指数之间的联动关系进行了检验。结果表明,汇率与上证金融、地产指数、上证能源之间不存在长期的协整关系;而汇率与上证医药、上证材料之间虽然存在长期协整关系,但是只有上证材料是汇率的单向格兰杰原因。     

股价与汇率间联动关系的实证分析

汇率与股票价格之间的关系如何,国内外学者都进行了研究,而结果不尽相同.随着我国汇率改革的进行,人民币汇率变化与股价变化的关系的研究显得迫切而又实际意义.而我国目前这方面的研究尚少.本文以2005年7月21日至2007年7月30日为样本区间,选用二元VAR模型,运用协整检验分析汇率和股价是否存在一种长期的均衡关系,利用Granger因果关系检验方法研究二者是否存在因果关系.得出结论为股价与汇率间存在双向的负相关关系,且汇率对股价的影响大于股价对汇率的影响.并指出本文研究中存在的不足以及今后进一步研究的方向.     

人民币汇率与股指的因果关系研究

本文选取了2007年3月1日至2012年5月24日之间的日数据,采用ADF单位根检验、协整检验及格兰杰因果检验分析了人民币汇率与我国证券市场股指之间的因果关系,结果表明:汇率与股价的因果关系是存在的,且汇率对股价的影响大于股价对汇率的影响.     

基于VAR模型的人民币汇率与股价变动关系研究

在全球经济外部失衡的宏观背景下,人民币汇率与股票价格的变动关系日益加强。以股价和汇率为内生变量,建立向量自回归VAR模型,采用日数据处理对我国股价和汇率之间的变动关系进行实证研究。研究发现,金融危机全面爆发后我国股价和汇率的变动存在由汇率引导股价的单向正向关系。基于实证结果,给出了理论分析和相应的政策建议。     

汇率与股价变动关系:基于汇改后数据的实证研究

研究我国2005年7月汇率制度改革后汇率与股市的关系及其传导机制,有助于深刻认识金融市场联动特征,对于防范金融市场风险和完善我国资本市场、外汇市场等的改革具有重要的理论和实践意义。本文实证发现了汇率和股价存在着长期均衡的协整关系;从长期来看,两者关系符合流量导向模型,上证指数受到汇率长期影响,从短期来看,股市和汇市存在着交互影响,汇率变化影响股指变动有时滞。运用滚动窗口的Granger检验和加入其他重要宏观变量的多变量协整检验,本文证明了这种长期关系具有较强的稳健性。进一步从板块指数与汇率的关系来看,房地产、金融、民航、石化、钢铁指数均与汇率存在着长期的协整关系,汇率变化是这些板块指数的Granger原因。最后,本文对实证结果做出分析并指出了相应的政策含义。     

资产价格、汇率变动与货币政策选择

文章将股价、房价等资产价格和汇率与货币政策目标联系起来,运用VAR模型通过Johansen协整检验等方法研究发现:资产价格、汇率与货币政策中介目标和最终目标之间存在着稳定且长期的联系,同时不同资产价格和汇率之间的波动相关性会带来资产价格与货币政策目标间更加复杂的关系。     

人民币汇率与股指的因果关系研究

本文选取了2007年3月1日至2012年5月24日之间的甘数据，采用ADF单位根检验、协整检验及格兰杰因果检验分析了人民币汇率与我国证券市场股指之间的因果关系，结果表明：汇率与股价的因果关系是存在的，且汇率对股价的影响大于股价对汇率的影响。     

汇率波动、货币供给与通货膨胀——基于状态空间模型的实证研究

本文采用2001年1月到2012年9月跨度达141个月的月度数据,结合近年来经济波动和物价走势,进行了协整分析并进而构建状态空间模型,考察2001年以来汇率和货币供给变动对于我国通货膨胀水平的影响,并进行了动态测算.本文发现汇率波动和货币供给与我国通货膨胀之间存在长期协整关系,实际有效汇率和货币供给对通货膨胀呈现正向影响,且汇率传导效应显著,货币政策效应并不明显.     

人民币汇率与股指的协整分析及因果检验

汇率与股票价格的关系在理论和实证中存在较大争议。本文运用JJ协整检验、格兰杰因果检验分析了我国沪深主要股指与美元兑人民币汇率之间的长期协整和因果关系。研究发现虽然汇率与股指之间存在长期的协整关系。在格兰杰因果检验中,美元汇率与A股指数和综合指数有双向因果关系,对沪市B股有单向因果关系,与深市B股没有相关关系。     

汇率与股票价格关系的实证研究

为了考察汇率和股价的动态关系,文章分别对汇率和股价在股权分置改革之前、股权分置改革之后和汇率制度改革之前以及汇率制度改革之后两个变量序列进行单位根检验、10hansen协整检验、因果关系检验,然后建立向量误差修正模型（VEC）。研究发现,只在汇率制度改革之后人民币兑美元的汇率、人民币兑港币的汇率分别与上证综指序列在滞后一天呈现短期显著关系;在三个阶段我国都存在汇率到股价的单向因果关系。     

Long-run money demand in OECD countries: what role do common factors play?

This article examines the long-run money demand function for 11 OECD countries from 1983Q1 to 2006Q4 using panel data. The distinction between common factors and idiosyncratic components using principal component analysis allows for the detection of cross-member cointegration and the determination as to whether national or international sources are responsible for the non-stationarity of money and its determinants. Indeed, the finding that the common factors are I(1) while the idiosyncratic components are I(0) indicates that cross-member cointegration may exist and non-stationarity in the variables is primarily driven by common international trends. Furthermore, it is found that the impact of income on money demand is positive, whereas it is negative for the interest rate, exchange rate and stock prices. Except for the income elasticity of money demand, all estimated long-run coefficients are larger for the common factors of the variables than for the variables themselves. This article provides evidence that the exchange rate is an important determinant of money demand, whereas the results for the stock prices are ambiguous. Finally, the results of a panel-based error-correction model suggest that several domestic money stocks converge to a common international equilibrium relationship between the common factors.     

The impact of subprime mortgage on correlation between stock and FX markets

Our researching period contains the American subprime mortgage crisis, an insignificant financial crisis and the Asian financial crisis periods. We analyse and compare the interrelations between the stock and Foreign Exchange (FX) markets in Taiwan by the daily data of stock prices and NTD/US exchange rates. The empirical results found that there is no effect on the long-term equilibrium between the stock and FX markets during the American subprime mortgage crisis. It also shows that, whether financial crisis occurs or not, there is no cointegration between the stock and FX markets. Furthermore, the results find that there exists bidirectional causality between the stock and FX markets among the American subprime mortgage crisis and the Asian financial crisis period. However, there is only unidirectional relationship from stock prices to exchange rates during insignificant financial crisis period. Such results imply that two financial crises do significantly affect the short-term interrelationships between the stock and FX markets and lead to more importance for the connection between two markets.     

Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?

This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East and North Africa) emerging markets. In contrast to the existing evidence that uses a global market index to uncover such a relationship it is found that for the sample countries oil prices emerge as the dominant factor in the above relationship. The paper considers the presence of regime shifts and evidence is found of cointegration only for the period following the 1999 oil price shock. Readjustment towards equilibrium in each stock market occurs via oil price changes. Finally, a number of robustness checks are performed and persistence profiles produced.     

Currency appreciation and stock market performance: Evidence from China

This paper analyzes the relationship between the change of the exchange rate and the performance of the Chinese stock market after exchange rate regime and split share structure of stock market reformed in 2005, which is important for us to understand the linkages and mechanisms between the two markets deeply. We find that the exchange rate is highly related with the stock market, and there exists long-term cointegration. The results demonstrate that in the long term, the relationship between the two variables mainly belongs to flow-oriented model; Shanghai A Share index is influenced by the exchange rate, yet Shanghai B Share index has shown less indication of long term interrelation with the exchange rate. In the short term, the relationship between the two variables mainly belongs to stock-oriented models, there are inter influence between the stock market and the exchange market. The paper further analyzes the possible influence of different sector indices to exchange rates. Finally, the paper puts forward some advices and policy suggestions.     

Stock prices and long-run demand for money: evidence from Malaysia

This paper investigates the money demand function for Malaysia in the 1971-1996 period using the multivariate cointegration and error correction model methodology. The results suggest that a stable long-run relationship exist between real M2, the interest rate differential, income and stock prices. Stock prices have a significant negative substitute effect on long-run as well as short-run broad-money demand (M2) and its omission can lead to serious misspecification in the money demand function. The analysis from the vector error correction model (VECM) and the Toda & Yamamoto (1995) causality tests find that money is endogenous and that there is at least a unidirectional relationship between stock prices and real M2. Stock prices Granger cause real M2 indirectly through income between interest rates and stock prices and stock prices and money stock. This paper comes to the conclusion that due to the endogeneity of money, M2 cannot be completely controlled by Malaysia's central bank. Therefore, in formulating future monetary policy, the response of money demand to stock prices should be considered.     

Natural gas prices and stock prices: Evidence from EU-15 countries

This study investigates the long-run relationship between natural gas prices and stock prices by using the Johansen and Juselius cointegration test and error–correction based Granger causality models for the EU-15 countries. We employ quarterly data covering the period from 1990:1 to 2008:1. Empirical findings suggest that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Austria, Denmark, Finland, Germany and Luxembourg. However, no relationship is found between these variables in the other ten EU-15 countries. Although we detect a significant long-run relationship between stock prices and natural gas prices, Granger causality test results imply an indirect Granger causal relationship between these two variables. In addition, we investigate the Granger causal relationship between stock returns, industrial production growth and natural gas price increase for Austria, Denmark, Finland, Germany and Luxembourg. As a result, increase in natural gas prices seem to impact industrial production growth at the first place. In turn, industrial production growth appears to affect stock returns.     

Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta

A simple cointegration methodology is used to compute the equilibrium real exchange rate for the peseta. The stock of foreign assets and the evolution of sectoral prices are considered to be the fundamentals for the real exchange rate. After testing for cointegration, we proceed to decompose the series into a permanent and a transitory component, following the method devised by Gonzalo and Granger. The permanent component of the real exchange rate corresponds to its (time-varying) equilibrium value, and the deviation of the actual real exchange rate from this equilibrium value gives an estimation of the degree of misalignment of the real exchange rate. By the end of the sample (1998:1), the peseta is estimated to be undervalued around 6%.     

The relationship between stock prices and exchange rates in South Africa and Nigeria: structural breaks analysis

The relationship between stock prices and exchange rates has continued to generate interest from both the academia and financial industry players for many years. This study conducts an empirical investigation into the relationship between stock prices and exchange rates for the two largest economies in Sub-Saharan Africa – South Africa and Nigeria. Our methodology accounts for structural breaks in the data and the long-run relationship between stock and foreign exchange markets. The results of multivariate causality tests with structural breaks showed that causality runs from exchange rates to domestic stock prices in Nigeria (flow channel) while in South Africa, no causality exists between domestic stock prices and exchange rates. The results also reveal that there is causality from the London stock market to both countries’ stock markets, thus showing that international stock markets are driving both the Nigerian and South African stock markets.     

Analyzing time–frequency relationship between interest rate,stock price and exchange rate through continuous wavelet

In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical findings suggest that stock prices, exchange rates and interest rates are linked. The cross wavelet results show that stock price movements are lagging both to the exchange rate and interest rate fluctuations. The interest rate lead over the stock price movements is even clearer, especially after 2006, and it suggests that the stock market follows the interest rate signals. Comparing results of WTC and XWT, we find very clear results of phase difference of lead–lag relationship between stock prices, exchange rates and interest rates.     

汇率与股价关系研究最新进展述评

有关汇率与股价关系的最新研究,归纳起来主要有四个发展方向:一是传统宏观经济一般均衡分析方法的拓展,在以往的开放宏观经济均衡模型中将汇率与股价作为宏观经济中重要的解释变量,强化对客观经济运行的考察;二是具有微观基础的均衡分析,包括资产组合平衡与新开放宏观经济两个分析框架下的汇率与股价关系研究;三是从市场的微观结构理论对汇率与股价这两种资产价格进行模型化;四是影响汇率与股价关系的相关因素的分析。本文按照这四个方面进行文献梳理,并进行简要评述。